covered bond investor presentation 30th june 2020€¦ · spanish public sector covered bond...

Covered Bond Investor Presentation 30th June 2020

2

Disclaimer

The purpose of this presentation is purely informative. In particular, regarding the data provided by third parties, neither CaixaBank, S.A. (“CaixaBank”) as a legalentity, nor any of its administrators, directors or employees, is obliged, either explicitly or implicitly, to vouch that these contents are exact, accurate,comprehensive or complete, nor to keep them updated, nor to correct them in the case that any deficiency, error or omission were to be detected. Moreover, inreproducing these contents in any medium, CaixaBank may introduce any changes it deems suitable, may omit partially or completely any of the elements of thisdocument, and in the case of any deviation between such a version and this one, assumes no liability for any discrepancy.

This document has at no time been submitted to the Comisión Nacional del Mercado de Valores (CNMV – the Spanish Stock Markets regulatory body) for approvalor scrutiny. In all cases its contents are regulated by the Spanish law applicable at time of writing, and it is not addressed to any person or legal entity located in anyother jurisdiction. For this reason it may not necessarily comply with the prevailing norms or legal requisites as required in other jurisdictions.

This presentation on no account should be construed as a service of financial analysis or advice, nor does it aim to offer any kind of financial product or service. Inparticular, it is expressly remarked here that no information herein contained should be taken as a guarantee of future performance or results.

Without prejudice to legal requirements, or to any limitations imposed by CaixaBank that may be applicable, permission is hereby expressly refused for any type ofuse or exploitation of the contents of this presentation, and for any use of the signs, trademarks and logotypes which it contains. This prohibition extends to anykind of reproduction, distribution, transmission to third parties, public communication or conversion into any other medium, for commercial purposes, without theprevious express permission of CaixaBank and/or other respective proprietary title holders. Any failure to observe this restriction may constitute a legal infractionwhich may be sanctioned by the prevailing laws in such cases.

3

Contents

Covered Bonds Programme

Mortgage Covered Bonds Programme

Public Sector Covered Bonds Programme

Appendix

4

CaixaBank covered bonds programme - Highlights

High quality collateral and strong overcollateralization

Covered Bonds Ratings

Always aiming at the best market standards

Covered Bond Label Compliant since 1st January 2013

Transparency: complete quarterly information available in our website http://www.caixabank.com/inversoresinstitucionales/inversoresrentafija_en.html

Aa1 AAA AA

Best treatment with regards to LCR and risk-weighting purposes

1. Covered Bonds Programme

Low risk profile

Solid OC levels

Prudently managed mortgage portfolio:

77.7% for residential purposes

172% Total OC

128% Legal OC Comfortably above the legally required ratio (125%)…

Flexibility to optimize our collateral

€35.9Bn Retained Covered Bonds1

88.9%With LTV < 80%

Primary residence

91.0%

1 Including Mortgage and Public Sector Covered Bonds

5

€ 1.355M € 1.546M

CaixaBank covered bonds programmes - Main figures

Mortgage covered bond programme

Spanish public sector covered bond programme

Issuing capacity Collateral by type

Mortgage CBPublic Sector CB€2,900 M

Residential

Public Sector

Commercial

1. Covered Bonds Programme

1

72% 20%

8%

MORTGAGE COVER POOL MORTGAGE COVERED BONDS 30/06/2020

Cover Pool Size (mill €) 85.177 Outstanding nominal (mill €) 49.483

Residential Assets 66.215 77,7% OC (total) 172%

Comercial Assets 18.962 22,3% OC (legal - eligible portfolio) 128%

Elegible Pool (mill €) 63.548 Issuing Capacity (mill €) 1.355

Number of loans 1.154.417 Average Maturity (years) 4,4 yrs

Average loan Balance (€) 73.783

WA Seasoning (years) 8,7 yrs RATINGS

WA Remaining Term (years) 16,3 yrs Moody's Aa1

WA LTV 54% DBRS AAA

WA LTV Elegible Pool 44% S&P AA

30/06/2020

PUBLIC SECTOR COVER POOL PUBLIC SECTOR COVERED BONDS 30/06/2020

Cover Pool Size (mill €) 7.208 Outstanding nominal (mill €) 3.500

Number of loans 3.462 OC 206%

Average loan Balance (€) 2.082.068 Issuing Capacity 1.546

WA Remaining Term (years) 4,3 yrs Average Maturity (years) 1,8 yrs

RATINGS

Moody's Aa1

30/06/2020

6

Contents




Appendix

7

CaixaBank mortgage covered bond programme

Remaining issuing capacity

Maturity profile

In €M

Total Covered Bonds €49,483 M

Public

Retained

€17,122 M

€32,361 M

2. Mortgage Covered Bonds Programme

In €M

In €Bn

€1.4BnRemaining

issuance

capacity

999

2.6411.409 1.800

998

3.837

2.0481.000

4501.000 660 228 53

176

5.459

6.399

4.250

2.902

2.177

6.250 1.9022.800

47

0

1.000

2.000

3.000

4.000

5.000

6.000

7.000

8.000

9.000

2020 2021 2022 2023 2024 2025 2026 2027 2028 2031 2032 2033 2037 2038

Public Retained

85,2

63,5 63,550,8 49,5

21,6

1,4

Total collateral Non-eligible Eligible Max. CB Issuance Outstanding CB

x 80%Issued

Mortgages

Total Collateral for Covered Bonds 85.177

Eligible Portfolio 63.548

Mortgages CB

Used Collateral 61.854

Covered Bond Issued Amount 49.483

Over Collaterization 172%

Available Collateral 1.693

REMAINING ISSUING CAPACITY (*) 1.355

8

CaixaBank mortgage covered bond programme

OC evolution

Active and prudent collateral management with focus on adding value to investors

OC comfortably above the legally required ratio

Total OC

Legal OC

172%

128%


9

CaixaBank mortgage covered bond programme – Residential assets

Residential sub-pool: Main figures

Portfolio breakdown

Loan balance by LTV

Seasoning


c.91.0 %of the pool withLTV <80%

Cover Pool Description

Total Mortgage Loans (ex securitization) (€ k) 66.215.127 WA LTV Current* (%) 51,6%

Number of loans 1.061.897 First Rank 96,4%

Average Loan balance (€) 62.356 Floating Rate loan Interest Rate type: 75,5%

Number of Borrowers 941.232 WA Interest Rate (Floating Rate loans) 0,9%

Number of properties 1.149.138 WA Interest Rate (Fixed Rate loans) 2,8%

WA Seasoning in months 113 9,4 yrs

WA Remaining term in months 206 17,2 yrs

* Current Loan to Original/last Valuation

34,9%

17,8% 15,9%13,2%

9,1%

1,6% 1,3% 1,1% 0,9% 0,7%3,4%

6,2% 8,5% 7,4% 9,5%

68,4%

< 12 ≥12-<24 ≥24-<36 ≥36-<60 ≥60

Unindexed LTV Ranges

Distributions

Total Loan Balance

(ex sec) €k%

0-≤40% 23.113.961 34,9%

>40%-≤50% 11.785.423 17,8%

>50%-≤60% 10.551.191 15,9%

>60%-≤70% 8.732.877 13,2%

>70%-≤80% 6.053.500 9,1%

>80%-≤85% 1.091.878 1,6%

>85%-≤90% 874.914 1,3%

>90%-≤95% 724.849 1,1%

>95%-≤100% 600.123 0,9%

>100%-≤105% 440.263 0,7%

>105% 2.246.147 3,4%

Total 66.215.127

Seasoning (months) € k %

< 12 4.089.780 6,2%

≥12-<24 5.644.629 8,5%

≥24-<36 4.905.055 7,4%

≥36-<60 6.268.280 9,5%

≥60 45.307.382 68,4%

Total: 66.215.127

10

Property type

Loan purpose

Geographical distribution

CaixaBank mortgage covered bond programme – Residential assets

Specific loan and borrower characteristics

Primary residence loans in % of residential sub-pool


> 20%

Between 10% - 20%

Between 5% - 10%

Between 3% - 5%

Between 1% - 3%

< 1%

8,1% VALENCIA

29,6% CATALONIA

13,8% MADRID

6,1% CANARY ISLANDS

16,5% ANDALUSIA

Property type € k %

Primary residence 58.858.513 88,9%

Second residence 6.019.504 9,1%

Not owner-occupied 1.003.843 1,5%

Other 333.266 0,5%

Total 66.215.127

Loan Purpose € k %

Adquisition 57.594.236 87,0%

Re-mortgage 3.168.487 4,8%

Equity release 106.697 0,2%

Rehabilitation 3.155.670 4,8%

New construction 2.190.037 3,3%

Other 0 0,0%

Total 66.215.127

Regional Distribution € k %

Catalonia 19.582.700 29,6%

Andalusia 10.951.110 16,5%

Madrid 9.168.516 13,8%

Valencia 5.334.784 8,1%

Canary Islands 4.053.925 6,1%

Balearic Islands 2.835.294 4,3%

Castile León 2.451.504 3,7%

Navarra 2.163.486 3,3%

Basque Country 1.997.038 3,0%

Castile La Mancha 1.671.334 2,5%

Galicia 1.515.753 2,3%

Murcia 1.471.297 2,2%

Aragon 1.033.379 1,6%

Cantabria 575.056 0,9%

Extremadura 547.514 0,8%

Asturias 458.733 0,7%

La Rioja 317.103 0,5%

Others Spain 86.600 0,1%

Total 66.215.127

88,9%

9,1%1,5% 0,5%

Primary residence Second residence Not Owner occupied Other

87,0%

4,8% 0,2% 4,8% 3,3% 0,0%

Adquisition Re-mortgage Equity release Rehabilitation Newconstruction

Other

88.9%

11

CaixaBank mortgage covered bond programme – Commercial assets

Commercial sub-pool: Main figures

Portfolio breakdown

Balance per LTV-band

Property type



Total Mortgage Loans (ex securitization) (€ k) 18.961.681 WA LTV Current* (%) 62,6%

Number of loans 92.520 Floating Rate loan Interest Rate type: 83,5%

Average Loan balance (€) 204.947 WA Interest Rate (Floating Rate loans) 1,7%

Number of Borrowers 61.845 WA Interest Rate (Fixed Rate loans) 2,6%

Number of properties 120.293

WA Seasoning in months 76,2 6,3 yrs

WA Remaining term in months 157,6 13,1 yrs

* Current Loan to Original/last Valuation

34,8%

18,6% 17,4%

11,1%

5,4%2,0% 1,8% 0,8% 1,4% 1,1%

5,6%

11,2%15,6%

7,9% 9,6%

27,0%

1,8% 0,0%

27,0%

Offices Commercialstores

Industrial Hotel Flats & Houses Land Mixed Use Others

Unindexed LTV Ranges

Distributions

Total Loan Balance

(ex sec) €k%

0-≤40% 6.597.786 34,8%

>40%-≤50% 3.533.317 18,6%

>50%-≤60% 3.293.873 17,4%

>60%-≤70% 2.113.119 11,1%

>70%-≤80% 1.020.665 5,4%

>80%-≤85% 376.908 2,0%

>85%-≤90% 341.704 1,8%

>90%-≤95% 159.935 0,8%

>95%-≤100% 260.716 1,4%

>100%-≤105% 201.535 1,1%

>105% 1.062.124 5,6%

Total 18.961.681

Property Type € k %

Offices 2.114.427 11,2%

Commercial stores 2.959.849 15,6%

Industrial 1.497.604 7,9%

Hotel 1.825.050 9,6%

Flats & Houses 5.116.193 27,0%

Land 336.365 1,8%

Mixed Use 0 0,0%

Others 5.112.193 27,0%

Total 18.961.681

12

CaixaBank mortgage covered bond programme – Commercial assets

Loan maturity

Geographical distribution


6.5% VALENCIA

27.4% CATALONIA

> 20%

Between 10% - 20%

Between 5% - 10%

Between 3% - 5%

Between 1% - 3%

< 1%

26.2% MADRID

6.4% CANARY ISLANDS

14.4% ANDALUSIA

Loan Maturity (yrs) € k %

≤ 5 3.117.879 16,5%

>5 - ≤10 4.655.601 24,6%

>10 - ≤15 5.785.553 30,5%

>15 - ≤25 3.582.984 18,9%

>25 - ≤50 1.806.902 9,5%

Total 18.948.918

16,5%

24,6%

30,5%

18,9%

9,5%

≤ 5 >5 - ≤10 >10 - ≤15 >15 - ≤25 >25 - ≤50

Regional distribution € miles %

Catalonia 5.201.571 27,4%

Madrid 4.965.154 26,2%

Andalusia 2.725.553 14,4%

Valencia 1.239.101 6,5%

Canary Islands 1.220.279 6,4%

Balearic Islands 977.977 5,2%

Castile León 459.744 2,4%

Castile La Mancha 422.685 2,2%

Navarra 412.583 2,2%

Basque Country 352.654 1,9%

Aragón 234.090 1,2%

Galicia 219.476 1,2%

Murcia 185.481 1,0%

Extremadura 132.293 0,7%

Cantabria 72.499 0,4%

Asturias 71.989 0,4%

Others Spain 35.471 0,2%

La Rioja 33.081 0,2%

Total 18.961.681

13

Contents




Appendix

14

7,2 7,2

5,0

3,5

1,5

Total collateral Eligible vs non-eligible Max. CB issuance Outstanding CB

CaixaBank public sector covered bond programme

Remaining issuing capacity

Maturity profile

In €BnIn €M

Total Covered Bonds €3,500 M

Public

Retained

€0 M

€3,500 M

3. Public Sector Covered Bonds Programme

In €M

x 70%

Issued

Remaining

issuance

capacity€1.5Bn

(*) Issuing Capacity=80% of Collateral Available for C. Hipotecarias and 70% for C. Territoriales

1.500

2.000

0

500

1.000

1.500

2.000

2.500

2021 2022

Public Retained

Public Sector

Total Collateral for Public Sector CB 7.208

Eligible Portfolio 7.208

Public Sector

CB

Used Collateral 5.000

Covered Bond Issued Amount 3.500

Over Collaterization 206%

Available Collateral 2.208

REMAINING ISSUING CAPACITY (*) 1.546

15

CaixaBank public sector covered bond programme

Cover pool description – Main figures

Portfolio breakdown

Loan maturity

Loans in arrears

3. Public Sector Covered Bonds Programme


Total Mortgage Loans (ex securitization) (€ k) 7.208.118 Floating Rate loan Interest Rate type: 91,8%

Number of loans 3.462 WA Interest Rate (Floating Rate loans) 1,32%

Average Loan balance (€) 2.082.068 WA Interest Rate (Fixed Rate loans) 2,59%

Number of Borrowers 1.109

Average exposure to borrowers (€ ) 6.499.655

WA Remaining term in months 51,1 4,3 yrs

Avg LTV (%) 28%

Loan Maturity € k %

< 12 3.626.417 50,3%

≥12-<24 199.597 2,8%

≥24-<36 265.597 3,7%

≥36-<60 1.336.784 18,5%

≥60 1.779.722 24,7%

Total 7.208.118

Loans in Arreas %

<2m 0,01%

≥ 2m - <6m 0,00%

≥ 6m 0,36%

50,3%

2,8% 3,7%

18,5%24,7%

< 12 ≥12-<24 ≥24-<36 ≥36-<60 ≥60

16

Appendix

17

CaixaBank covered bond issuances

Spanish mortgages – Public deals covered bonds

Appendix

ISIN Currency Issue Date Outstanding (€) Maturity Date Coupon Investor Type

ES0440609305 EUR 12/11/2015 1.000.000.000 12/11/2020 0,625% Institutional


ES0414970501 EUR 14/05/2009 175.000.000 14/05/2021 Eur 3m+1% Institutional









ES0440609404 EUR 23/11/2018 660.000.000 23/11/2033 1,640% Institutional

ES0414970451 EUR 13/06/2008 100.000.000 13/06/2038 5,432% Institutional

18


Spanish mortgages – Retained deals covered bonds

Appendix


ES0440609198 EUR 26/07/2012 175.000.000 26/07/2020 Eur 6m+4.70% Institutional

ES0440609420 EUR 21/12/2018 4.750.000.000 21/12/2021 Eur 6m+0.15% Institutional

ES0440609115 EUR 07/06/2012 2.000.000.000 07/06/2022 Eur 6m +3.85% Institutional







ES0440609370 EUR 19/10/2017 750.000.000 19/10/2025 Eur 6m +0.24% Institutional



ES0440609164 EUR 03/07/2012 1.000.000.000 03/07/2027 Eur 6m+4% Institutional




19


Spanish Public Sector – Covered Bonds

Appendix

Spanish Mortgages – Covered Bonds (non €)

Spanish Multi-Issuers – Public Covered Bonds

ISIN Currency Issue Date Outstanding Maturity Date Coupon Investor Type

ES0440609388 USD 30/10/2017 711.200.000 30/10/2025 Libor 6m +0.59% Institutional

XS0273475094 USD 01/11/2006 255.000.000 02/02/2037 Libor 3m +0.00% Institutional




Código ISIN Divisa Fecha emisiónCaixaBank

Contribution (€)

Total Issue

Outstanding (€)Maturity Date Coupon Investor Type

ES0312298054 EUR 22/03/2006 300.000.000 1.500.000.000 22/03/2021 4,00% Institutional










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